I've purchased refilled cartridges, and also refilled my own. Refilling your own is a bit more work, but it's certainly doable. I'd suggest you do it in the garage, in case you spill toner. I don't think it's as big a deal as the others have made it out to be, though.
Purchasing refilled cartridges is hit-and-miss. Sometimes you get cartridges that work just fine, other times it smudges or causes other printing problems. But when I can get a four-color set for $50 vs $350 for a set of brand-new, name-brand ones, I'm willing to accept some risk :)